Optimal insurance under rank‐dependent utility and incentive compatibility
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Publication:5377187
DOI10.1111/mafi.12185zbMath1411.91325arXiv1509.04839OpenAlexW2887424972WikidataQ129398196 ScholiaQ129398196MaRDI QIDQ5377187
Zuo Quan Xu, Sheng Chao Zhuang, Xun Yu Zhou
Publication date: 23 May 2019
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.04839
moral hazardprobability weighting functionincentive compatibilityquantile formulationrank-dependent utility theoryoptimal insurance designretention functionindemnity function
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